Nowcasting the Portuguese GDP with monthly data

João B. Assunção; Pedro Afonso Fernandes

doi:10.48550/arXiv.2206.06823

Nowcasting the Portuguese GDP with monthly data

João B. Assunção, Pedro Afonso Fernandes^*

^*Autor correspondente para este trabalho

Resultado de pesquisa: ???researchoutput.researchoutputtypes.workingpaper.preprint???

74 Transferências (Pure)

Resumo

In this article, we present a method to forecast the Portuguese gross domestic product (GDP) in each current quarter (nowcasting). It combines bridge equations of the real GDP on readily available monthly data like the Economic Sentiment Indicator (ESI), industrial production index, cement sales or exports and imports, with forecasts for the jagged missing values computed with the well-known Hodrick and Prescott (HP) filter. As shown, this simple multivariate approach can perform as well as a Targeted Diffusion Index (TDI) model and slightly better than
the univariate Theta method in terms of out-of-sample mean errors.

Idioma original	English
DOIs	https://doi.org/10.48550/arXiv.2206.06823
Estado da publicação	Publicado - 14 jun. 2022

Acesso ao documento

10.48550/arXiv.2206.06823Licença:

48042176Final published version, 2,65 MBLicença:

http://hdl.handle.net/10400.14/38574Licença:

CUBE: Católica Lisbon Research Unit in Business and Economics
Machado, F. (PI), Aranda, A. M. (Investigador), Costa, A. I. D. A. (Investigador), Martins, A. P. (Investigador), Bernard, A. (Investigador), Fidalgo, A. (Investigador), Reis, C. (Investigador), Abecassis-Moedas, C. (Investigador), Santos, C. (Investigador), Tran, D. (Investigador), Fernandes, D. (Investigador), Bonfim, D. (Investigador), Schliephake, E. (Investigador), Kalogirou, F. (Investigador), Reis, F. (Investigador), Santos, F. (Investigador), Machado, F. (Investigador), Sguera, F. (Investigador), Cerqueiro, G. (Investigador), Reis, H. (Investigador), Barreto, I. (Investigador), Silva, J. (Investigador), Salvado, J. C. (Investigador), Neves, J. C. D. (Investigador), Gijsbrechts, J. (Investigador), Stahl, J. (Investigador), Guedes, J. C. (Investigador), Faias, J. (Investigador), Wagner, L. (Investigador), Correia, I. (Investigador), Saldanha, M. F. (Investigador), Fontes, J. C. (Investigador), Modesto, L. (Investigador), Meira, M. (Investigador), Matos, M. G. D. (Investigador), Gouveia, M. (Investigador), Kozeniauskas, N. (Investigador), Bertani, N. (Investigador), Couzoff, P. (Investigador), Barroso, P. (Investigador), Encarnação, P. (Investigador), Raposo, P. (Investigador), Teles, P. (Investigador), Bastos, W. (Investigador), Bohnsack, R. (Investigador), Vale, R. C. D. (Investigador), Ferreira, R. (Investigador), Lloyd-Braga, T. (Investigador), Ramus, T. (Investigador), Colaço, V. H. (Investigador), Cavicchini, A. (Investigador), Parada, P. (Investigador), Pieters, R. (Investigador), Pinto, F. A. G. D. L. S. (Investigador), Colaço, V. H. (Investigador) & Venter, Z. (Investigador)
1/01/20 → 31/12/24
Projeto

Citação

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N2 - In this article, we present a method to forecast the Portuguese gross domestic product (GDP) in each current quarter (nowcasting). It combines bridge equations of the real GDP on readily available monthly data like the Economic Sentiment Indicator (ESI), industrial production index, cement sales or exports and imports, with forecasts for the jagged missing values computed with the well-known Hodrick and Prescott (HP) filter. As shown, this simple multivariate approach can perform as well as a Targeted Diffusion Index (TDI) model and slightly better thanthe univariate Theta method in terms of out-of-sample mean errors.

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KW - Macroeconomic forecasting

KW - Nowcasting

KW - Error correction models

KW - Combining forecasts

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BT - Nowcasting the Portuguese GDP with monthly data

ER -

Nowcasting the Portuguese GDP with monthly data

Resumo

Acesso ao documento

Impressão digital

Projetos

CUBE: Católica Lisbon Research Unit in Business and Economics

Citação